Research archive
Retained observations, worked calculations and a clear revision record.
The 2022 Treasury curve: rising yields, a changing spread
Reproduce the 2022 two-year and ten-year US Treasury yield comparison with 249 matched observations, downloadable data and an explicit spread calculation.
The Currency Return Cross-Term: A Worked Reconciliation
Reproduce an 8% local gain and a 5% currency decline, including the interaction that produces a 2.6% reporting-currency return.
Duration and Convexity: Reproducing a Bond Price Shock
Calculate a hypothetical 100-basis-point yield increase using modified duration 6 and convexity 45, excluding income.
Earnings and Multiples: A Worked Price Decomposition
Show why a hypothetical 10% earnings increase and a 15% P/E decline produce a 6.5% price loss rather than a 5% loss.
Correlations Across Windows: An Invented Six-Observation Panel
Reproduce positive, negative, and zero sample correlations from explicitly hypothetical returns without inventing historical market prices.
Commodity Price Versus Investment: A Contract-Level Ledger
Reconcile a hypothetical rising spot reference with a futures-account loss while separating roll transactions from subsequent contract repricing.